Munich - London - NewYork
*** Financial technology
Front-to-back system selection, design, development and implementation
*** Risk & portfolio management, trading, hedging
Quantitative consultancy, research, analytics and modeling; financial engineering
Design, review and implementation of risk & pricing models as well as trading, hedging and portfolio strategies for all major sys
tems (Calypso, Murex, Reuters, TradeStation, InteractiveBrokers, InteractiveData / ESignal, NinjaTrader, MultiCharts)
DerivaRisk risk and trading management framework
*** Project management
Project management & organization
Shaping of the project scope, consistent enforcement of project objectives
Resource planning, project controlling & reporting
Risk and quality management
PMO setup and management
Requirements management & business analysis
Structured gathering, analysis and verification of business requirements
Transformation of requirements into use cases, processes, system solution definitions, functional specifications
Feasibility studies, gap and cost-benefit analyses
Managing of complete vendor selection, solution evaluation and POC processes
*** Previous & present customers
Eurostoxx50 companies: MunichRe, UniCredit, EADS/Airbus
Several private hedge funds worldwide
**** CONSULTING AREAS
** Financial markets, risk management, processes & systems
Front-to-back systems & processes
Customization and enhancement of trading systems & infrastructures
System migration and upgrading issues (gap analysis, requirements engineering)
Product evaluation and vendor selection processes
Analysis, design, review and optimization of front-to-back processes, e.g. Pre- and post-trade analysis
Order algorithms
Straight-through processing (STP)
Market & credit risk measurement and management
Portfolio and cash flow management
Settlement, accounting, auditing, compliance
Database modeling, design and setup of tailor-made reporting and BI solutions
** Financial engineering & modeling
Design and review of risk and pricing models for all major systems
Structuring of derivatives (retail and OTC)
Index and ETF composition
Trading, hedging and portfolio strategies; market research
Market research using proprietary smart auto-adaptive technical indicators
Strategy design, review, testing and implementation
Order book / T&S flow analysis and pattern identification algorithms (self-learning neural networks)
Short-term and high-frequency trading setups
Mid-term statistical arbitrage (e.g. spread trading, sector rotation)
Stress testing, back testing, what-if-scenarios
Performance measurement and attribution
Strategy libraries and technical analysis indicators as add-ons for all major systems (Calypso, Murex, Bloomberg, Reuters, TradeStation, InteractiveBrokers, InteractiveData / ESignal, NinjaTrader, MultiCharts, WealthLab)
Implementation of proprietary pattern detection algorithms (based on neural networks and genetic algos) into all major systems
** Risk management & compliance
Servicing the complete risk management process
Identifying risk exposures
Measuring risk exposures
Assessing the effects of exposures
Finding ways to shift or trade risks
Assessing costs and benefits of the different ways
Forming a risk mitigation strategy: Keep, avoid, transfer, mitigate
Evaluating performance
Market risk: VaR, simulations, stress tests, scenarios, EVT
Credit risk: LGD, PD, EAD, EDF, ratings/transition matrices, systems (KMV, Credit Metrics, Credit Risk+)
Operational risk: LDA, severity & frequency, methods (top-down, bottom-up, IMA; BIA, SA, AMA), model risks
Design and implementation of risk management programs and GRC concepts
Assisting in compliance issues: BaFin, MiFid, Basel, Solvency, DerivV, KAG, MaH, MaRisk, NPP, IFRS, IAS, SOX, OpRisk, SEC, FSA, CFTC
VaR (Value-at-risk) approaches: Delta-normal, historicel simulation, Mont-Carlo-simulation; LVAR, CFAR
Regulatory and economic capital, assessment approaches: Standardized, Foundation, Advanced (IRB)
